Girma, Paul Berhanu; Mougoué, Mbodja - In: Journal of Futures Markets 22 (2002) 11, pp. 1083-1102
This study investigates the relation between petroleum futures spread variability, trading volume, and open interest in an attempt to uncover the source(s) of variability in futures spreads. The study finds that contemporaneous (lagged) volume and open interest provide significant explanation...